Yingzi Zhu

Tsinghua University - School of Economics & Management

Professor

Beijing, 100084

China

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 1,046

SSRN RANKINGS

Top 1,046

in Total Papers Downloads

35,692

SSRN CITATIONS
Rank 13,433

SSRN RANKINGS

Top 13,433

in Total Papers Citations

38

CROSSREF CITATIONS

49

Scholarly Papers (20)

1.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,237 (1,039)
Citation 3

Abstract:

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Momentum, crashes, downside risk, stop-loss orders

2.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 7,872 (1,129)
Citation 22

Abstract:

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Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

3.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,490 (4,549)
Citation 3

Abstract:

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Technical analysis, trading rules, asset allocation, predictability, learning

4.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Marco Avellaneda and Yingzi Zhu
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,650 (7,167)
Citation 1

Abstract:

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5.

Variance Term Structure and VIX Futures Pricing

Number of pages: 24 Posted: 25 Apr 2005
Yingzi Zhu and Jin E. Zhang
Tsinghua University - School of Economics & Management and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 2,253 (9,258)
Citation 5

Abstract:

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Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures

6.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
University of Denver - Daniels College of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,174 (9,843)
Citation 14

Abstract:

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Bitcoin, Cryptocurrency, Technical Analysis

7.

Technical Analysis in the Stock Market: A Review

Number of pages: 35 Posted: 24 May 2021
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,284 (22,368)

Abstract:

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Technical Analysis, Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

8.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,204 (24,635)
Citation 10

Abstract:

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Technical analysis, trend-following, asymmetric information

9.

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Number of pages: 38 Posted: 13 May 2009 Last Revised: 18 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,131 (26,963)
Citation 15

Abstract:

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Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium

10.

Trend Factor in China: The Role of Large Individual Trading

Number of pages: 54 Posted: 13 Jun 2019 Last Revised: 18 Jul 2022
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,086 (28,576)

Abstract:

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Chinese Stock Market, Individual Trading, Factor Model, Anomalies, Mutual Funds

11.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 74 Posted: 16 Oct 2020 Last Revised: 18 Jan 2022
Singapore Management University - Lee Kong Chian School of Business, Nottingham University Business School, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 893 (37,749)

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

12.

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Number of pages: 47 Posted: 13 Jan 2021 Last Revised: 29 Jun 2022
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 714 (50,977)
Citation 3

Abstract:

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Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

13.

Volatility Components: Evidence from VIX Futures Market

Number of pages: 33 Posted: 23 Sep 2008
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 636 (59,248)
Citation 1

Abstract:

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

14.

Volatility Components: The Term Structure Dynamics of VIX Futures

Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Number of pages: 33 Posted: 04 May 2010
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 622 (60,966)
Citation 3

Abstract:

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

15.

Volatility Trading: What is the Role of the Long-Run Volatility Component?

Number of pages: 49 Posted: 28 Apr 2010 Last Revised: 14 Dec 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 590 (65,200)
Citation 3

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

16.

Why is the Recent Financial Crisis a ''Once-In-A-Century' Event?

Number of pages: 9 Posted: 27 Aug 2009
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 551 (71,089)

Abstract:

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financial crisis, Once-in-a-Century event, drawndown probability

17.

The Chinese Warrant Bubble: A Fundamental Analysis

Number of pages: 39 Posted: 11 Aug 2016
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 184 (227,570)

Abstract:

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Warrant bubble, short-selling and margin constraints, put-call parity

18.

Are Investors Irrational? - Study on China Warrant Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 24 Posted: 21 Jan 2013
Yintian Wang and Yingzi Zhu
Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 121 (318,198)

Abstract:

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Warrant bubble, hedging motivation, rational speculation, put-call parity

19.

Perspectives: Is the Recent Financial Crisis Really a 'Once-in-A-Century' Event?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management

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Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets

20.

VIX Futures

Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531
Posted: 29 Aug 2005
Jin E. Zhang and Yingzi Zhu
University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University - School of Economics & Management

Abstract:

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VIX, VIX futures, square root process

Other Papers (1)

Total Downloads: 66
1.

Dynamic Volatility Strategy with Recursive Utility

Number of pages: 38 Posted: 13 Mar 2006
Yingzi Zhu
Tsinghua University - School of Economics & Management
Downloads 66

Abstract:

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Portfolio Choice, Recursive Utility, Martingale Approach, Stochastic Volatility